Practical Risk Theory for Actuaries.

C. D. Daykin · Teivo Pentikäinen · Martti I. Pesonen

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

Content: Foundations of risk theory. Some preliminary ideas. The number of claims. The amount of claims. Calculation of a compound claim d.f.f. Simulation. Applications involving short-term claim fluctuation. Stochastic analysis of insurance business. Inflation. Investment. Claims with an extended time horizon. Premiums. Expenses, taxes, dividends. The insurance process. Applications to long-term processes. Managing uncertainty. Life insurance. Pension schemes. Appendices. Bibliography. Subject index. Author index.

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2001Optimal reinsurance under mean-variance premium principles 1999Loss Models: from Data to Decisions. By Stuart Klugman, Harry Panjer and Gordon Willmot [John Wiley & Sons, New York, 1998]2000A discussion of parameter and model uncertainty in insurance 2001Finite and infinite time ruin probabilities in a stochastic economic environment 1999On the ruin probabilities in a general economic environment 2004Determinants of United Kingdom General Insurance Company Performance 2008An Extension of Arrow's Result on Optimal Reinsurance Contract 2010Reinsurance and Capital Structure: Evidence From the United Kingdom Non-Life Insurance Industry

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